Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0120 |
| Annualized Std Dev | 0.1016 |
| Annualized Sharpe (Rf=0%) | -0.1186 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4296.0000 |
| NAs | 1.0000 |
| Minimum | -0.0759 |
| Quartile 1 | -0.0026 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0027 |
| Maximum | 0.0725 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0064 |
| Skewness | -0.7622 |
| Kurtosis | 24.0931 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0047 |
| Gain Deviation | 0.0046 |
| Loss Deviation | 0.0055 |
| Downside Deviation (MAR=210%) | 0.0103 |
| Downside Deviation (Rf=0%) | 0.0047 |
| Downside Deviation (0%) | 0.0047 |
| Maximum Drawdown | 0.4386 |
| Historical VaR (95%) | -0.0085 |
| Historical ES (95%) | -0.0153 |
| Modified VaR (95%) | -0.0088 |
| Modified ES (95%) | -0.0088 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-03-11 | 2008-10-10 | NA | -0.4386 | 4287 | 1156 | NA |
| 2004-03-01 | 2004-03-02 | 2004-03-04 | -0.0046 | 4 | 2 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | -0.4 | 0 | 0.1 | 0.8 | 2.4 | 1.4 | 0 | -0.2 | 0.1 | 0.9 | 0.4 | 5.7 |
| 2005 | 0.9 | 1.1 | 0.6 | 0.2 | 0.6 | -0.3 | 1 | -0.9 | 0.6 | 0.4 | -0.1 | 0.3 | 4.4 |
| 2006 | -0.1 | 0.3 | 0.1 | 0.4 | 0.1 | 0.4 | 0.2 | 0 | 0 | -0.2 | 0.7 | 0.1 | 2 |
| 2007 | -0.3 | 0.3 | 0.4 | 0.4 | -0.6 | 0.5 | -0.2 | 0.6 | 0 | 0.8 | -0.1 | 0.9 | 2.8 |
| 2008 | 0.2 | -0.1 | 0.8 | 0.4 | -0.3 | -0.1 | 1.2 | 0 | 1.4 | 1 | -1.5 | 0.2 | 3.2 |
| 2009 | 0.1 | 2.4 | 0.3 | -0.4 | 0.9 | 0.2 | 0.2 | 0.3 | 0.8 | 0.4 | 0.5 | 0.8 | 6.6 |
| 2010 | 1 | 0.7 | 0.7 | 0.4 | 1 | 0.3 | -0.5 | 0.4 | 1.3 | 0.5 | -0.1 | 1.1 | 7.1 |
| 2011 | 0.4 | 1.2 | 0.2 | 0.4 | 0.2 | -0.2 | 0.4 | 0.3 | 0.2 | 0.2 | -0.5 | 0 | 3 |
| 2012 | 0.3 | 0.2 | 0.1 | 0.2 | 0.5 | -0.2 | 0.4 | 0.7 | 0.2 | 0.9 | -0.2 | 0.2 | 3.3 |
| 2013 | 0.3 | 0.2 | 0 | -0.4 | 0 | 1.6 | -0.5 | 0.3 | 0.7 | -0.2 | -0.2 | -0.4 | 1.4 |
| 2014 | 0 | 0.1 | 0 | 0.5 | 0.2 | -0.3 | 0.2 | 0.1 | 0.8 | 0 | -0.2 | 0.3 | 1.6 |
| 2015 | 0.5 | 0.9 | 0.6 | -0.2 | -0.1 | 0.3 | 0.6 | 0.1 | -0.3 | -0.2 | 0.9 | 0.4 | 3.6 |
| 2016 | 0.2 | 0.4 | -0.2 | 1.6 | -1.4 | 0.6 | 0.3 | -0.5 | -0.2 | -0.2 | -0.9 | 0.5 | 0.3 |
| 2017 | 0 | -0.4 | 0.4 | 0.1 | 0.3 | 0 | 0.4 | 0.6 | -0.4 | 0.4 | 0.1 | 0.3 | 1.6 |
| 2018 | 0.6 | 0 | 1 | -0.3 | -0.3 | 0.5 | -0.3 | -0.1 | 0.2 | -0.1 | 0.2 | 0 | 1.4 |
| 2019 | 0.1 | 0 | -0.3 | 0.4 | -0.1 | 0 | 0.3 | 0.1 | -0.4 | 0.2 | -0.2 | 0.2 | 0.2 |
| 2020 | 0.3 | -1.1 | 0.5 | 0.3 | 0.1 | -0.2 | -0.2 | 0.2 | 0.2 | 0.7 | 0.3 | 1.3 | 2.4 |
| 2021 | -0.1 | 0.2 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-02-25 15 SPY 115. 4.20e-3 -0.0068 -0.0086 0.102 0.360 -0.119 -0.0755 <NA> NA NA NA
2 2004-02-26 15.0 SPY 115. 6.00e-4 -0.0025 0.0023 0.0886 0.381 -0.105 -0.099 <NA> NA NA NA
3 2004-02-27 15.1 SPY 115. 7.00e-4 0.00120 0.0146 0.0852 0.364 -0.0844 -0.0979 <NA> NA NA NA
4 2004-03-01 15.0 SPY 116. 9.90e-3 0.0137 0.0236 0.092 0.368 -0.0767 -0.0726 <NA> NA NA NA
5 2004-03-02 15.0 SPY 115. -5.90e-3 0.0095 0.0176 0.0848 0.373 -0.0759 -0.0692 <NA> NA NA NA
6 2004-03-03 15.0 SPY 116. 1.80e-3 0.0071 0.0151 0.0752 0.398 -0.0935 -0.0637 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
